For first person player, you can set a start marker and the left mouse click on it,
In the weapons field on the left, click in the field. A list of weapons you have available will be there.
Choose any of those and that will equip the player with those weapons.
Third person perspective player will only have the weapon the AI is using.
As far as making you own weapons, requires a lot of processes. A steep learning curve and a lot of practice.
Free model programs are Blender, Fragmotion demo version, milkshake 3d, and a few others.
In the docs folder there is a zip file with 3ds max files for the modern weapon that are stock. These can be used as a template for other weapons.
Intel(R) Core(TM)2 Quad CPU Q6600 @ 2.40GHz, 2400 Mhz, 4 Core(s), 4 Logical Processor(s), 8gb RAM, Nvidia gtx660, Windows 7 Pro 64bit, Screen resolution 1680 x 1050.